JPMorgan plans dual directional notes linked to Russell 2000, S&P 500

By Angela McDaniels

Tacoma, Wash., May 1 – JPMorgan Chase Financial Co. LLC plans to price 0% dual directional contingent buffered return enhanced notes due May 29, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by JPMorgan Chase & Co.

If the final level of each index is greater than its initial level, the payout at maturity will be par plus at least 110% of the return of the lesser-performing index. The exact upside leverage factor will be set at pricing.

If one index finishes above its initial level and the other index declines by up to 28% or if each index declines from its initial level by up to 28%, the payout will be par plus the absolute value of the lesser-performing index’s return.

If the final level of either index is less than its initial level by more than 28%, investors will lose 1% for every 1% that the lesser-performing index’s final level is below its initial level.

J.P. Morgan Securities LLC is the agent.

The notes will price May 31.

The Cusip number is 46647MJK0.

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